NO.PZ2020033003000080
问题如下：
Which of the following statements is correct?
I. The Japanese banks delivered yen (funded by yen) and achieved USD exposure by using swap, the Japanese yen experienced a significant appreciation against the USD, Japanese banks achieved considerable gain.
II. When the swap rate increases, the fixed-rate receivers experience a gain.
III. When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased. The financial institutions in Italy had increased probabilities of default due to the poor economic conditions.
选项：
A.I only.
B.II only. C.I and II.
D.I and III.
解释：
D is correct.
考点：Wrong-Way Risk Vs. Right-Way Risk
解析：swap rate上升时收固定方亏钱，II错。
I为什么对，日元升值，作为支付日元 的一方不应该亏损嘛？swap开始前，每期固定多少日元换固定多少美元不应该定好了吗？
